On non-negative equity guarantee calculations with macroeconomic variables related to house prices

DOI10.1016/J.INSMATHECO.2022.01.001MaRDI QIDQ2670127zbMATH OpenOpenAlexFDO

Authors Enoch Quaye, Radu Tunaru, Alexandru Badescu

Publication date 10 March 2022

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.insmatheco.2022.01.001

zbMATH Keywords

derivatives pricingequity release mortgagesexponential linear pricing kernelGARCH-MIDAShouse price risknon-negative equity guarantee

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

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Cites work

• A Bayesian multivariate risk-neutral method for pricing reverse mortgages
• Developing equity release markets: risk analysis for reverse mortgages and home reversions
• Dividend derivatives
• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
• MIDAS Regressions: Further Results and New Directions
• Modeling volatility persistence of speculative returns: a new approach
• On the valuation of reverse mortgages with regular tenure payments
• Prepayment risk in reverse mortgages: an intensity-governed surrender model
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Securitization of longevity risk in reverse mortgages
• The valuation of no-negative equity guarantees and equity release mortgages
• To borrow or insure? Long term care costs and the impact of housing

Cited in

(4)

• The valuation of no-negative equity guarantees and equity release mortgages
• Dynamic fund protection for property markets
• Discounting the Discounted Projection Approach
• Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages

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